Articles by Mauro Cesa
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Fishing for collateral with neural nets
SocGen quant uses deep learning technique to optimise collateral substitution
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Piterbarg leaves Barclays; bank names new head quant
UK bank's head of quantitative analytics leaves after 10 years
Quant Congress Europe: Robotrading doesn't destabilise markets, conference hears
Automated trading not to blame for higher equity volatility during the crisis, says senior quant
New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
CBOE developing tail event index
A new index based on skew will be unveiled once testing is completed
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Rehabilitating innovation
The financial crisis has put greater focus on the accuracy of models, with some regulators criticising banks for placing too much reliance on model outputs. In an introduction to this month's Cutting Edge section, Mauro Cesa, Risk's technical editor, and…
Model students
Mauro Cesa, Energy Risk's technical editor, talks to quants about how quantitative analysis for energy markets has developed and what they see as the most influential technical publications of the past 15 years
Rolling credit
In the period from December 2006 to November 2007, the Cutting Edge section saw a slightly increased number of submissions compared with last year, but trends in publications and rejections (only one out of four sees the light of acceptance) show how our…
When did the JGB market become efficient?
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…